Abstract #300254

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JSM 2003 Abstract #300254
Activity Number: 442
Type: Contributed
Date/Time: Thursday, August 7, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #300254
Title: Regional Econometric Income Forecast Accuracy
Author(s): Roberto Tinajero*+ and Tom Fullerton and Lawrence Waldman
Companies: University of Texas, El Paso and University of Texas, El Paso and University of New Mexico
Address: 6022 Caprock Ct. Apt. 1504, El Paso, TX, 79912,
Keywords: regional econometric models ; forecast accuracy evaluation
Abstract:

Econometric prediction accuracy for personal income forecasts is examined for a region of the United States. Previously published regional structural equation model (RSEM) forecasts exist ex ante for the state of New Mexico and its three largest metropolitan statistical areas: Albuquerque, Las Cruces and Santa Fe. Quarterly data between 1983 and 2000 are utilized at the state level. For Albuquerque annual data from 1983 through 1999 are used. For Las Cruces and Santa Fe, annual data from 1990 through 1999 are employed. Univariate time series, vector autoregressions, and random walks are used as the comparison criteria against structural equation simulations. Results indicate that ex ante RSEM forecasts achieved higher accuracy than those simulations associated with univariate ARIMA and random walk benchmarks for the state of New Mexico. The track records of the structural econometric models for Albuquerque, Las Cruces, and Santa Fe are less impressive. In some cases, VAR benchmarks prove more reliable than RSEM income forecasts. In other cases, the RSEM forecasts are less accurate than random walk alternatives.

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